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Fixed versus flexible: Lessons from EMS order flow
16 references·16 citing·40 second hopsampled
Fixed versus flexible: Lessons from EMS order flow (2006)Fixed versus flexible: Lessons from EMS o…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Empirical research on nominal exchange rates (1995)Empirical research on nominal…Fixing Exchange Rates: A Virtual Quest for Fundamentals (1993)Fixing Exchange Rates: A Virt…Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Cointegration in partial systems and the efficiency of single-equation analysis (1992)Cointegration in partial syst…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Stock return variances (1986)Stock return variancesEmpirical exchange rate models of the seventies (1983)Empirical exchange rate model…Information aggregation in a noisy rational expectations economy (1981)Information aggregation in a …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The market microstructure approach to foreign exchange: Looking back and looking forward (2013)The market microstructure app…Foreign exchange market reactions to sovereign credit news (2012)Foreign exchange market react…Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set (2011)Order Flow and the Monetary M…Global liquidity risk in the foreign exchange market (2011)Global liquidity risk in the …Solving exchange rate puzzles with neither sticky prices nor trade costs (2010)Solving exchange rate puzzles…On the sources of private information in FX markets (2010)On the sources of private inf…Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares (2010)Does the “Bund” dominate pric…What drives volatility persistence in the foreign exchange market?☆ (2009)What drives volatility persis…International order flows: Explaining equity and exchange rate returns (2009)International order flows: Ex…Commercially Available Order Flow Data and Exchange Rate Movements:Caveat Emptor (2008)Commercially Available Order …Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market (2006)Non-linear, hybrid exchange r…Macro lessons from microstructure (2006)Macro lessons from microstruc…Liquidity provision in the overnight foreign exchange market (2005)Liquidity provision in the ov…Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates? (2004)Can Portfolio Rebalancing Exp…How is Macro News Transmitted to Exchange Rates? (2003)How is Macro News Transmitted…Customer trades and extreme events in foreign exchange (2003)Customer trades and extreme e…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations and the neutrality of money (1972)Noise (1986)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Exploring the international linkages of the euro area: a global VAR analysis (2007)Testing for Error Correction in Panel Data* (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1986Stock return variances1,813 cited
  • 1981Information aggregation in a noisy rational expectations economy1,068 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1993Fixing Exchange Rates: A Virtual Quest for Fundamentals613 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1995Empirical research on nominal exchange rates521 cited
  • Cited by

    • 2005Liquidity provision in the overnight foreign exchange market116 cited
    • 2003How is Macro News Transmitted to Exchange Rates?102 cited
    • 2009What drives volatility persistence in the foreign exchange market?☆98 cited
    • 2011Global liquidity risk in the foreign exchange market89 cited
    • 2013The market microstructure approach to foreign exchange: Looking back and looking forward84 cited
    • 2004Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?76 cited
    • 2011Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set72 cited
    • 2012Foreign exchange market reactions to sovereign credit news70 cited
    • 2008Commercially Available Order Flow Data and Exchange Rate Movements:Caveat Emptor68 cited
    • 2010Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares57 cited
    • 2003Customer trades and extreme events in foreign exchange52 cited
    • 2009International order flows: Explaining equity and exchange rate returns49 cited
    • 2006Macro lessons from microstructure44 cited
    • 2010On the sources of private information in FX markets44 cited
    • 2006Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market43 cited
    • 2010Solving exchange rate puzzles with neither sticky prices nor trade costs41 cited